Lotusbird, welcome to the board. Like you, I'm so sorry that this had to be your first post. I can't add anything to the replies already given, but I do have to just sort of wonder why on earth such a toxic substance is allowed to be inside of a commonly used household object that is so easily prone to breakage and certainly happens on a daily basis by large numbers of people.

I've never understood why fluorescent bulbs are used in schools. Yes, they're cheaper.

A milligram of elemental mercury is quite a bit to inhale, especially if in compound with other elements. It is unlikely you inhaled that much. Smaller amounts also cause trouble, and it is not well eliminated from the body, so repeat exposures can cause more and more trouble.

Barbara, there is no need to freak out. The "phosphor" in fluorescent bulbs is not the same as phosphorous. Phosphor is just a name for light-emitting material that mostly contains calcium oxide with some other rare elements. They can be caustic in large quantities but are easily washable with water. Also CFL bulbs contain about 5 milligram of mercury which is not too much. I don't expect any acute poisoning from this amount. If you ventilate a room you'll be OK. The biggest problem I see is glass shards. I strongly don't recommend to use a vacuum cleaner because it has an air exhaust which blows air outside of appliance and lifts small dust particles throughout the room. It's better to wipe down shards with a wet paper towel (while wearing rubber gloves). That's it.
Source: PhD in Chemistry.